Incentive compatibility and differentiability: New results and classic applications

We provide several generalizations of Mailathʼs (1987) [9] result that in games of asymmetric information with a continuum of types incentive compatibility plus separation implies differentiability of the informed agentʼs strategy. The new results extend the theory to classic models in finance such as Leland and Pyle (1977) [8], Glosten (1989) [4], and DeMarzo and Duffie (1999) [3], that were not previously covered.

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Year of publication:	2013
Authors:	Mailath, George J. ; von Thadden, Ernst-Ludwig
Published in:	Journal of Economic Theory. - Elsevier, ISSN 0022-0531. - Vol. 148.2013, 5, p. 1841-1861
Publisher:	Elsevier
Subject:	Adverse selection \| Separation \| Differentiable strategies \| Incentive-compatibility

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Type of publication:	Article
Classification:	C60 - Mathematical Methods and Programming. General ; C73 - Stochastic and Dynamic Games ; D82 - Asymmetric and Private Information ; D83 - Search, Learning, Information and Knowledge ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011043042